Just bought a 8700r from Rogers (without a SIM card) but I live in Europe (I didn't want an Azerty...). What can I do to be able to connect with a French provider since I get the message SIM card blocked?

You will need to get the Blackberrry unlocked. I just bought a 8700r from Rogers yesterday and have plans on going to Europe next summer, I need to get my blackberry unlocked.
Try some of the site sponsors or E-bay.